Discretizing Malliavin calculus (Q1639664)

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Language	Label	Description	Also known as
English	Discretizing Malliavin calculus	scientific article

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scholarly article

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Discretizing Malliavin calculus (English)

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zbMATH Open document ID

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10.1016/j.spa.2017.09.014

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Christian Bender

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Peter Parczewski

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Stochastic Processes and their Applications

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publication date

13 June 2018

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full work available at URL

https://arxiv.org/abs/1602.08858

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

Malliavin calculus

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strong approximation

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stochastic integrals

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S-transform

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chaos decomposition

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invariance principle

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MaRDI profile type

MaRDI publication profile

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A Course in Enumeration

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Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales

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Symmetric polynomials of random variables attracted to an infinitely divisible law

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Generalized Hermite processes, discrete chaos and limit theorems

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On the Malliavin approach to Monte Carlo approximation of conditional expectations

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On the robustness of backward stochastic differential equations.

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Simulation of Brownian motion at first-passage times

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On homogeneous chaos

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Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition

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Stochastic partial differential equations. A modeling, white noise functional approach

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Explicit form and robustness of martingale representations.

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Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)

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Gaussian Hilbert Spaces

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Random multilinear forms

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Weak limit theorems for stochastic integrals and stochastic differential equations

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Weak approximations for Wiener functionals

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Brownian Motion

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Normal Approximations with Malliavin Calculus

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Stein's method and stochastic analysis of Rademacher functionals

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The Malliavin Calculus and Related Topics

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Stochastic calculus with anticipating integrands

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Stochastic analysis for Poisson point processes. Malliavin calculus, Wiener-Itô chaos expansions and stochastic geometry

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Stochastic analysis in discrete and continuous settings. With normal martingales.

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Fractional Brownian motion, random walks and binary market models

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A numerical scheme for BSDEs

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